How is an ‘Always In’ model better, different and/or more focused than a discrete long/short quantitative model?
Where ‘Aways In’ may simply try to capture drift,
Place for options?
Vig kills?
Continuous vs discrete,
…
–h
How is an ‘Always In’ model better, different and/or more focused than a discrete long/short quantitative model?
Where ‘Aways In’ may simply try to capture drift,
Place for options?
Vig kills?
Continuous vs discrete,
…
–h
Lacrosse fall season started last night and I got a note from son’s mom:
Son is best player on field!
Son has worked and practiced hard over the last year, I am proud and happy for him.
I get a second note from mom:
Son signed up for wrong league, playing against kids 2 grade levels down.
Ahh : )
But, lessons learned and all.
Then applying to markets:
What markets can we trade that are 2 grade levels down? Where is easy?
How do we define easy?
What markets trade 2 grade levels up and we should stay away from?
How do we test markets for grade level?
What other ways are there to think of grade level in the markets:
Day of month?
Day of week?
Percent move?
How does a quant practice?
—h
Trend Following with Mean Reversion
Keep a list of markets that are trending (however one likes to define trending)
Use a favorite reversion strategy to buy/sell pullbacks from the trend
That way you will be trading in direction of the trend, but perhaps using a strategy with a bigger edge – because now you are trading w/ the drift
–h
Risk Adjusted, Out-of-Sample
Annual: +24.9%
Max DD: -3.5%
Sharpe: 5.7
Profitable: 12 of last 12 months
I am looking for a new home for this strategy. It has been traded with $40m and scales easily into the $200m range.
Inquiries and referrals appreciated. A Strategy overview is here,
–h
Henry Carstens
503-701-5741
carstens@verticalsolutions.com
Epidemic Math
Population of Liberia, Guinea and Sierra Leone is about 21,000,000
There have been 6500 Ebola cases
Reachingh 0.03% of the population
In poorest Africa
Since March 2014
–h
I’m looking for a home for my quant strategy.
It has been traded with $40,000,000 over the last 7 months but needs to grow.
Out-of-sample results for last 11 months are:
Annual return: +24.8%
Max DD: -2.6%
Sharpe: 5.6
Strategy primarily trades Bonds, Bunds, SP, Stoxx futures and is scalable to $200 million without worrying too much about execution.
An overview is here: Vertical Solutions Strategy
–h
Henry Carstens
503-701-5741
A quant’s trading journal is a spreadsheet
–h
–h
Henry Carstens
Vertical Solutions
503-701-5741
I really want to use Mathematica.
But our current solutions are fast and work.
We don’t need Mathematica for this problem.
If we want to use Mathematica, what we need is a new problem.
A problem that adds to the solution space of our current problem from a new/different perspective.
We need to build a tool chain not of redundancy but of dimensionality around the problem,
–h